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Advanced Topics in Machine Learning for Mathematical Finance

Prof. Dr. Lukas Gonon


Schedule and Venue

Seminar

 

Wednesday 14-16

First seminar: Wednesday 20th of October

B 252


Interested participants are asked to pre-register via e-mail for this seminar. Details on the seminar will then be announced by email.

The seminar is planned to be held as a Präsenzveranstaltung in the indicated seminar room.


Seminar Description

The goal of this seminar is to study in detail some machine learning techniques (for instance deep neural networks, signature-based methods, generative adversarial networks, ...) as well as applications of these techniques, mainly in mathematical finance (for instance pricing, hedging, learning hidden dynamics, ...).
Most of the talks will be based on recent research papers. The list of papers will be communicated before the start of the seminar.


References

To be announced

For whom is this course?

Target Participants: Master students of Mathematics or Financial and Insurance Mathematics.

Pre-requisites: Probability Theory and Financial Mathematics I.

Applicable credits: